Coal gangue concrete (CGC), a recycled cementitious material derived from industrial solid waste, presents both opportunities and challenges for structural applications due to its heterogeneous composition and variable mechanical behavior. This study develops an ensemble learning framework—incorporating XGBoost, LightGBM, and CatBoost—to predict four key constitutive parameters based on experimental data. The predicted parameters are subsequently incorporated into an ABAQUS finite element model to simulate the compressive–bending response of CGC columns, with simulation results aligning well with experimental observations in terms of failure mode, load development, and deformation characteristics. To enhance model interpretability, a hybrid approach is adopted, combining permutation-based global feature importance analysis with SHAP (SHapley Additive exPlanations)-derived local explanations. This joint framework captures both the overall influence of each feature and its context-dependent effects, revealing a three-stage stiffness evolution pattern—brittle, quasi-ductile, and re-brittle—governed by gangue replacement levels and consistent with micromechanical mechanisms and numerical responses. Coupled feature interactions, such as between gangue content and crush index, are shown to exacerbate stiffness loss through interfacial weakening and pore development. This integrated approach delivers both predictive accuracy and mechanistic transparency, providing a reference for developing physically interpretable, data-driven constitutive models and offering guidance for tailoring CGC toward ductile, energy-absorbing structural materials in seismic and sustainability-focused engineering.